Do Behavioral Biases Affect Prices?
发现芝加哥期货交易所的自营交易员普遍存在损失厌恶行为，下午会冒更大风险试图挽回上午的亏损，这种行为导致下午价格偏离，但市场能快速纠正这些偏差。
ABSTRACT This paper documents strong evidence for behavioral biases among Chicago Board of Trade proprietary traders and investigates the effect these biases have on prices. Our traders appear highly loss‐averse, regularly assuming above‐average afternoon risk to recover from morning losses. This behavior has important short‐term consequences for afternoon prices, as losing traders actively purchase contracts at higher prices and sell contracts at lower prices than those that prevailed previously. However, the market appears to distinguish these risk‐seeking trades from informed trading. Prices set by loss‐averse traders are reversed significantly more quickly than those set by unbiased traders.